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Theory for quantile regression inference of time series and its applications

Research Project

Project/Area Number 15H02061
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Foundations of mathematics/Applied mathematics
Research InstitutionWaseda University

Principal Investigator

Taniguchi Masanobu  早稲田大学, 理工学術院, 教授 (00116625)

Co-Investigator(Kenkyū-buntansha) 姚 峰  香川大学, 経済学部, 教授 (90284348)
白石 博  慶應義塾大学, 理工学部(矢上), 准教授 (90454024)
加藤 賢悟  東京大学, 経済学研究科(研究院), 准教授 (50549780)
清水 泰隆  早稲田大学, 理工学術院, 准教授 (70423085)
西山 陽一  早稲田大学, 国際教養学術院, 准教授 (90270412)
阿部 俊弘  南山大学, 理工学部, 准教授 (70580570)
Research Collaborator Hallin Marc  ブリュッセル自由大学
Monti Anna Clara  サンニーニョ大学
Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Discontinued (Fiscal Year 2018)
Budget Amount *help
¥42,120,000 (Direct Cost: ¥32,400,000、Indirect Cost: ¥9,720,000)
Fiscal Year 2018: ¥10,660,000 (Direct Cost: ¥8,200,000、Indirect Cost: ¥2,460,000)
Fiscal Year 2017: ¥10,140,000 (Direct Cost: ¥7,800,000、Indirect Cost: ¥2,340,000)
Fiscal Year 2016: ¥10,010,000 (Direct Cost: ¥7,700,000、Indirect Cost: ¥2,310,000)
Fiscal Year 2015: ¥11,310,000 (Direct Cost: ¥8,700,000、Indirect Cost: ¥2,610,000)
Keywords時系列解析 / 分位点回帰 / 定常過程 / 予測・補間 / 高次元時系列解析 / 非正則検定理論 / 縮小推定 / 金融データ解析 / 縮小推定量 / 高次元時系列 / 円周分布 / 統計数学 / 予測 / 補間 / 判別 / ポートフォリオ / Whittle 推定 / 統計科学 / 金融工学
Outline of Final Research Achievements

(1)We introduced a quantile regression statistic to classify time series data into a certain category. Results show that the misclassification probability of the discriminant statistic converges to zero as the sample size tends to infinity. We applied the proposed method in quantile autoregression to a dataset of the monthly mean maximum temperature at Melbourne.The findings illuminate interesting features of climate change and allow us to check the change at each quantile of the innovation distribution.(2)We considered minimax interpolation and extrapolation problems in Lp for stationary processes. We gave two conditions to find the minimax interpolator and extrapolator in the general framework under the Lp-norm. We showed that there exist minimax interpolator and extrapolator for the class of epsilon contaminated spectral densities.The results (1) and (2) open a new methodology for time serires analysis based on quantile informations for probability and spectral distributions.

Academic Significance and Societal Importance of the Research Achievements

時とともに変動する偶然量の観測系列を時系列という。この観測系列の数学モデルが確率過程と呼ばれる。確率過程の統計解析を時系列解析という。従来、この分野では、2次損失に基づいた推測や最適理論が展開されてきた。これは、おおまかには平均的指標での、推測、予測、判別に対応している。そこで、本研究では、確率分布やスペクトル分布の分位点の情報に基づいた推測、予測、判別の基礎理論構築を行い時系列解析を新しいパラダイムに導いた。具体的には、確率分布やスペクトル分布の裾の情報に基づいた時系列推測、予測、補間、判別が可能になり、これらに基づいた気候変動解析、金融データ解析も可能になった。

Report

(4 results)
  • 2018 Final Research Report ( PDF )
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • Research Products

    (105 results)

All 2018 2017 2016 2015 Other

All Int'l Joint Research (9 results) Journal Article (29 results) (of which Int'l Joint Research: 15 results,  Peer Reviewed: 25 results,  Open Access: 22 results,  Acknowledgement Compliant: 12 results) Presentation (36 results) (of which Int'l Joint Research: 23 results,  Invited: 23 results) Book (5 results) Remarks (13 results) Funded Workshop (13 results)

  • [Int'l Joint Research] University of Sannio/Department of Law, Economics,(Italy)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] Feng Chia University/Department of Statistics(Taiwan)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] Queen Mary University/Department of Economics(英国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] Columbia University/Department of Mathematics(米国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of Extremadura(Spain)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of Sannio/Department of Law, Economics,(Italy)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] Feng Chia University/Department of Statistics(Taiwan)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] University of Sannio/Department of Law, Economics,(Italy)

    • Related Report
      2015 Annual Research Report
  • [Int'l Joint Research] Feng Chia University/Department of Statistics(Taiwan)

    • Related Report
      2015 Annual Research Report
  • [Journal Article] Estimation pitfalls when the noise is not i.i.d.2018

    • Author(s)
      Giraitis, L., Taniguchi, M. and Taqqu, M.S.
    • Journal Title

      Jap. J. Stat. and Data Science.

      Volume: 1

    • NAID

      210000175885

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Higher-order asymptotic theory of shrinkage estimation for general statistical models.2018

    • Author(s)
      Shiraishi, H., Taniguchi, M. and Yamashita, T.
    • Journal Title

      J.Multivariate Anal.

      Volume: to appear

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Asymptotic theory of test statistic for sphericity of high-dimensional time series.2018

    • Author(s)
      Liu, Y., Tamura, Y. and Taniguchi, M.
    • Journal Title

      J.Time Ser. Anal.,

      Volume: in press Issue: 3 Pages: 402-416

    • DOI

      10.1111/jtsa.12288

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Adjustments for a class of tests under nonstandard conditions.2018

    • Author(s)
      Monti, A.C. and Taniguchi, M.
    • Journal Title

      Statistica Sinica

      Volume: in press

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] A new look at portmanteau test.2018

    • Author(s)
      Akashi, F., Odashima, H., Taniguchi, M. and Monti, A.C.
    • Journal Title

      Sankhya

      Volume: 80 Issue: 1 Pages: 121-137

    • DOI

      10.1007/s13171-017-0109-3

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] 技術投資、市場競争と製造業全要素生産率2018

    • Author(s)
      師博・姚峰・李輝
    • Journal Title

      人文雑誌

      Volume: 1 Pages: 26-36

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Asymptotic normality of quadratic forms of martingale differences.2017

    • Author(s)
      Giraitis, L., Taniguchi, M. and Taqqu, M.S.
    • Journal Title

      Stat. Inference Stoch Process.

      Volume: in press Issue: 3 Pages: 315-327

    • DOI

      10.1007/s11203-016-9143-3

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Portfolio estimation for spectral density of categorical time series data2017

    • Author(s)
      Kato, Solvang H. and Taniguchi, M.
    • Journal Title

      Far East J. theoretical statistics

      Volume: 53-1 Pages: 19-33

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Discriminant and cluster analysis of possibly high-dimensional time series data by a class of disparities2017

    • Author(s)
      Liu Yan、Nagahata Hideaki、Uchiyama Hirotaka、Taniguchi Masanobu
    • Journal Title

      Communications in Statistics - Simulation and Computation

      Volume: 46 Issue: 10 Pages: 8014-8027

    • DOI

      10.1080/03610918.2016.1263732

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Discriminant Analysis by Quantile Regression with Application on the Climate Change Problem.2017

    • Author(s)
      Chen, C.W.S., Hsu, Y.C. and Taniguchi, M. (
    • Journal Title

      J. Stat. Plan. Inf.

      Volume: 187 Pages: 17-27

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] 日本地域経済振興と国際観光誘致策の構築について --訪日中国人観光客の統計分析を中心に2017

    • Author(s)
      姚峰・王炎・李瑶・木内舜
    • Journal Title

      経済論叢

      Volume: 2017 Pages: 55-87

    • NAID

      120007009604

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Portfolio estimation for spectral density of categorical time series data.2017

    • Author(s)
      Kato, Solvang H. and Taniguchi, M.
    • Journal Title

      Far East J. theoretical statistics

      Volume: 53 Pages: 19-33

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Microarray analysis using rank order statistics for ARCH residual empirical process.2017

    • Author(s)
      Kato, Solvang H. and Taniguchi, M.
    • Journal Title

      Open Journal of Statistics.

      Volume: in press

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Discriminant and cluster analysis of possibly high-dimensional time series data by a class of disparities.2017

    • Author(s)
      Liu,Y., Nagahata, H., Uchiyama, H. and Taniguchi, M.
    • Journal Title

      Com. Stat.

      Volume: in press

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Discriminant analysis by quantile regression with application on the climate change problem.2017

    • Author(s)
      Chen, C.W.S., Hsu, Y.T. and Taniguchi, M.
    • Journal Title

      J.Statist. Plan. Inf.

      Volume: 187 Pages: 17-27

    • DOI

      10.1016/j.jspi.2017.02.002

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] 保険会社における最適配当境界のパラメトリック推定2017

    • Author(s)
      八木 彰子,白石 博
    • Journal Title

      早稲田大学理工研報告特集号

      Volume: 14 Pages: 3-14

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] 高次元における有効フロンティアの統計的推定2017

    • Author(s)
      、岡 紘之,白石 博
    • Journal Title

      早稲田大学理工研報告特集号

      Volume: 14

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] Granger causality test via Box-Cox transformations.2016

    • Author(s)
      Koike, R., Dou, X., Taniguchi, M. and Xue, Y.
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University,

      Volume: 13 Pages: 3-18

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] Shrinkage interpolation for stationary processes.2016

    • Author(s)
      Suto, Y. and Taniguchi, M.
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University,

      Volume: 13 Pages: 35-42

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] Box-Cox 変換を用いた Granger 因果性検定2016

    • Author(s)
      小池隆之介、Dou Xiaoling, 谷口正信*, Yujie Xue
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University

      Volume: 13 Pages: 3-18

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Shrinkage Interpolation for stationary processes2016

    • Author(s)
      Suto, Y. and Taniguchi, M.*
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University

      Volume: 13 Pages: 35-42

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings2016

    • Author(s)
      Chernozhukov, V., Chetverikov, D., and Kato, K.*
    • Journal Title

      Stochastic Processes and Their Applications

      Volume: in press

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Smoothed quantile regression for panel data2016

    • Author(s)
      Galvao, A.F. and Kato, K.
    • Journal Title

      Journal of Econometrics

      Volume: 印刷中 Issue: 1 Pages: 92-112

    • DOI

      10.1016/j.jeconom.2016.01.008

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Central limit theorems and bootstrap in high dimensions2016

    • Author(s)
      Chernozhukov, V., Chetverikov, D., and Kato, K.*
    • Journal Title

      Annals of Probability

      Volume: in press

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] An empirical likelihood approach for symmetric α-stable processes2015

    • Author(s)
      Fumiya Akashi, Yan Liu and Masanobu Taniguchi
    • Journal Title

      Bernoulli

      Volume: 21 Issue: 4 Pages: 2093-2119

    • DOI

      10.3150/14-bej636

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Asymptotic theory of parameter estimation by a function based on interpolation error2015

    • Author(s)
      Suto, Liu and Taniguchi
    • Journal Title

      Statistical Inference for Stochastic Processes

      Volume: 印刷中 Issue: 1 Pages: 93-110

    • DOI

      10.1007/s11203-015-9116-y

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Asymptotic properties of the sample variance matrix for high dimensional dependent data.2015

    • Author(s)
      Iizuka, K., Matsuura, T. and Taniguchi, M.*
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University

      Volume: 12 Pages: 1-10

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] High dimensional statistical analysis for time series.2015

    • Author(s)
      Haga, K., Kouji, S. and Taniguchi, M.*
    • Journal Title

      ASTE, Research Institute for Science and Engineering, Waseda University

      Volume: 12 Pages: 11-30

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Some new asymptotic theory for least squares series: Pointwise and uniform results2015

    • Author(s)
      Belloni, A., Chernozhukov, V., Chetverikov, D., and Kato, K.
    • Journal Title

      Journal of Econometrics

      Volume: 186 Issue: 2 Pages: 345-346

    • DOI

      10.1016/j.jeconom.2015.02.014

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Presentation] 高次元時系列における Whittle 推定量の漸近理論とその数値例.2018

    • Author(s)
      谷田義行、明石郁哉、谷口正信
    • Organizer
      日本数学会、於 東京大学
    • Related Report
      2017 Annual Research Report
  • [Presentation] LASSO estimators for high-dimensional time series with long-memory disturbances.2018

    • Author(s)
      Yuji Xue, 谷口正信
    • Organizer
      日本数学会、於 東京大学
    • Related Report
      2017 Annual Research Report
  • [Presentation] Analysis of variance for high dimensional time series.2017

    • Author(s)
      長播英明、谷口正信
    • Organizer
      日本数学会、於 山形大学
    • Related Report
      2017 Annual Research Report
  • [Presentation] Modified LASSO estimators of the models with long-memory disturbances2017

    • Author(s)
      Yujie Xue, 谷口正信
    • Organizer
      日本数学会、於 山形大学
    • Related Report
      2017 Annual Research Report
  • [Presentation] Causal Analysis of Hong Kong Stock Market, t2017

    • Author(s)
      Yao F. & Dai S.G. & Li Y.
    • Organizer
      the 9th International Conference on Financial Risk and Corporate Finance Management
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Local Whittle likelihood approach for L^p-norm spectra2017

    • Author(s)
      Yuji Xue, 谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      首都大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] A frequency domain bootstrap for irregularly spaced spatial data.2017

    • Author(s)
      劉言、 K. Chen, N.H. Chan, 谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      首都大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 高次元時系列の sphericity 検定統計量の漸近理論2017

    • Author(s)
      田村百合絵、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      首都大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] Asymptotic theory of Whittle estimator for high dimensional time series.2017

    • Author(s)
      谷田義行、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      首都大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] High Order Asymptotic Theory of Shrinkage Estimation for General Statistical Models2016

    • Author(s)
      Taniguchi, M.
    • Organizer
      Invited Talk at New Developments in Econometrics and Time Series
    • Place of Presentation
      University of Carlos III, Madrid, Spain.
    • Year and Date
      2016-10-06
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Theory and Applications in Statistical Science2016

    • Author(s)
      Taniguchi, M.
    • Organizer
      Invited Talk at International Workshop on Financial Time Series and Econometrics
    • Place of Presentation
      Southwest University of Finance and Economics, China
    • Year and Date
      2016-05-30
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Estimation for spectral density of categorical time series data2016

    • Author(s)
      Kato Solvang and Taniguchi, M.
    • Organizer
      Kumamoto International Symposium
    • Place of Presentation
      熊本大学
    • Year and Date
      2016-03-03
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Microarray analysis using rank order statistics for ARCH residual empirical2016

    • Author(s)
      Kato Solvang and Taniguchi, M.
    • Organizer
      Waseda International Symposium
    • Place of Presentation
      早稲田大学
    • Year and Date
      2016-03-01
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Shrinkage Estimation and Prediction for Time Series2016

    • Author(s)
      Taniguchi, M.
    • Organizer
      The 8th International Conference of the Thailand Econometric Society
    • Place of Presentation
      Chaing Mai University
    • Year and Date
      2016-01-06
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 確率過程と統計的漸近理論2016

    • Author(s)
      清水泰隆
    • Organizer
      京都大学数学教室談話会
    • Place of Presentation
      京都大学数学教室
    • Year and Date
      2016-01-06
    • Related Report
      2015 Annual Research Report
    • Invited
  • [Presentation] High Order Asymptotic Theory of Shrinkage Estimation for General Statistical Models2016

    • Author(s)
      Taniguchi, M.
    • Organizer
      Invited Talk at University of Milan
    • Place of Presentation
      University of Milan
    • Related Report
      2016 Annual Research Report
    • Invited
  • [Presentation] Numerical results of analysis of variance for multivariate time series.2016

    • Author(s)
      長播英明、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      関西大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] Robust interpolation problem in L^p2016

    • Author(s)
      Yujie Xue, 劉言、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      関西大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] 高次元時系列の Whittle 積分汎関数の漸近理論2016

    • Author(s)
      谷田義行、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      関西大学
    • Related Report
      2016 Annual Research Report
  • [Presentation] Nonparametric estimation for optimal dividend barrier with insurance portfolio2016

    • Author(s)
      Hiroshi Shiraishi
    • Organizer
      10th International Conference on Computational and Financial Econometrics (CFE2016)
    • Place of Presentation
      University of Seville (Spain)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] High-dimensional quantile regression.2015

    • Author(s)
      Kato, K.
    • Organizer
      New Directions in Quantile Regression
    • Place of Presentation
      ケンブリッジ大学 (イギリス・ケンブリッジ)
    • Year and Date
      2015-12-10
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Minimax extrapolation error of predictors.2015

    • Author(s)
      Liu, Y., Xue, Y. and Taniguchi, M.
    • Organizer
      High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series
    • Place of Presentation
      早稲田大学
    • Year and Date
      2015-11-10
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Smoothed quantile regression for panel data. Waseda International Symposium,2015

    • Author(s)
      Kato, K.
    • Organizer
      Waseda International Symposium,
    • Place of Presentation
      早稲田大学 (東京都・新宿区),
    • Year and Date
      2015-11-09
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Some statistical problems in ruin theory: discretely observed Lévy insurance risk process2015

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      High-Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series
    • Place of Presentation
      Waseda Univ.
    • Year and Date
      2015-11-09
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] A stochastic maximal inequality, strict countability, and related topics2015

    • Author(s)
      Yoichi Nishiyama
    • Organizer
      Waseda International Symposium
    • Place of Presentation
      早稲田大学
    • Year and Date
      2015-11-09
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing many moment inequalities.2015

    • Author(s)
      Kato, K.
    • Organizer
      厦門大学経済学部セミナー
    • Place of Presentation
      厦門大学 (中国・厦門)
    • Year and Date
      2015-10-27
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] A stochastic maximal inequality, strict2015

    • Author(s)
      Yoichi Nishiyama
    • Organizer
      Seminari statistici dell'universita di Bergamo
    • Place of Presentation
      ベルガモ大学(イタリア共和国ベルガモ市)
    • Year and Date
      2015-09-17
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Discriminant and cluster analysis of high-dimensional time series data by a class of disparities2015

    • Author(s)
      長幡英明、劉言、内山、谷口正信
    • Organizer
      日本数学会
    • Place of Presentation
      京都産業大学
    • Year and Date
      2015-09-15
    • Related Report
      2015 Annual Research Report
  • [Presentation] Shrinkage Estimation and Prediction for Time Series2015

    • Author(s)
      Taniguchi,M.
    • Organizer
      Workshop at Seoul National University on Advances in Time Series Analysis
    • Place of Presentation
      Seoul National University
    • Year and Date
      2015-09-10
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Statistical Inference for ruin-related quantities for Lévy insurance risks2015

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      60th ISI World Statistics Congress
    • Place of Presentation
      Rio de Janeiro, Brazil
    • Year and Date
      2015-08-28
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] (1) Preliminary test estimation for regression models with long-memory disturbance, (2) Jackknifed Whittle estimators2015

    • Author(s)
      Taniguchi, M.
    • Organizer
      Invited Seminar Talk at Institute of Statistical Science
    • Place of Presentation
      Institute of Statistical Science, Academia Sinica
    • Year and Date
      2015-07-23
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Asymptotics of realized volatility with microstructure noise2015

    • Author(s)
      Taniguchi, M.
    • Organizer
      Seminar Talk at National Sun Yat-sen University
    • Place of Presentation
      National Sun Yay-sen University, Taiwan
    • Year and Date
      2015-07-21
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Gerber-Shiu dynamic risk measures for solvency evaluation2015

    • Author(s)
      Yasutaka Shimizu and Shuji Tanaka,
    • Organizer
      The 19th International congress on Insurance
    • Place of Presentation
      Mathematics and Economics, Liverpool, United Kingdom
    • Year and Date
      2015-06-25
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Gaussian approximation of suprema of empirical processes.2015

    • Author(s)
      Kato, K.
    • Organizer
      Workshop on New Directions in Stein's Method
    • Place of Presentation
      シンガポール国立大学
    • Year and Date
      2015-05-26
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Gaussian approximation of suprema of empirical processes2015

    • Author(s)
      Kato, K.
    • Organizer
      Oberwolfach workshop: Probabilistic Techniques in Modern Statistics
    • Place of Presentation
      ドイツ・オーバーヴォルファッハ
    • Year and Date
      2015-05-17
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Central limit theorem and bootstrap in high dimensions.2015

    • Author(s)
      Kato, K.
    • Organizer
      Cemmap workshop: Advances in Microeconometrics
    • Place of Presentation
      ソウル大学 (韓国・ソウル)
    • Year and Date
      2015-05-07
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Book] Statistical Portfolio Estimation2018

    • Author(s)
      Taniguchi, M., Shiraishi, H., Hirukawa,J., Kato, H.S. and Yamashita, T
    • Total Pages
      377
    • Publisher
      Chapman & Hall/CRC, New York,
    • ISBN
      9781466505605
    • Related Report
      2017 Annual Research Report
  • [Book] Statistical Portfolio Estimation"2017

    • Author(s)
      Taniguchi, M., Shiraishi, H., Hirukawa,J., Kato, H.S. and Yamashita, T.
    • Total Pages
      400
    • Publisher
      Chapman & Hall
    • Related Report
      2016 Annual Research Report
  • [Book] 統計科学と金融工学2017

    • Author(s)
      谷口 正信編集
    • Total Pages
      125
    • Publisher
      早稲田大学理工研報告特集号
    • Related Report
      2016 Annual Research Report
  • [Book] Statistical Portfolio Estimation2017

    • Author(s)
      Taniguchi, M., Shiraishi, H., Hirukawa, J., Kato, H.S. and Yamashita, T.
    • Total Pages
      500
    • Publisher
      Chapman & Hall
    • Related Report
      2015 Annual Research Report
  • [Book] Special Issue on the " Financial & Pension Mathematical Science"2016

    • Author(s)
      谷口正信(編)
    • Total Pages
      126
    • Publisher
      早稲田大学理工学研究所
    • Related Report
      2015 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/2017_WIS.pdf

    • Related Report
      2017 Annual Research Report
  • [Remarks] Kyoto (Fushimi-Uji) International Seminar

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/2017_KIS.pdf

    • Related Report
      2017 Annual Research Report
  • [Remarks] Kagawa International Symposium

    • URL

      http://fourier.ec.kagawa-u.ac.jp/~yao/KIS-RDSE2018.pdf

    • Related Report
      2017 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/2017_WASEDA_SP.pdf

    • Related Report
      2017 Annual Research Report
  • [Remarks] Kouchi International Seminar

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/KIS201803.pdf

    • Related Report
      2017 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/WIS_ver3.pdf

    • Related Report
      2016 Annual Research Report
  • [Remarks] Hokkaido International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/HIS2016_ver5.pdf

    • Related Report
      2016 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/Waseda_International_Symposium_2017spring.pdf

    • Related Report
      2016 Annual Research Report
  • [Remarks] Keio International Symposium

    • URL

      http://www.stat.math.keio.ac.jp/wp-content/uploads/2015/02/Keio-International-Symposium_Program.pdf

    • Related Report
      2016 Annual Research Report
  • [Remarks] Ise-Shima International Seminar

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/Ise-Shima2017program.pdf

    • Related Report
      2016 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/2015hokoku/WIS15_final.pdf

    • Related Report
      2015 Annual Research Report
  • [Remarks] Waseda International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/WIS16_prog&abs.pdf

    • Related Report
      2015 Annual Research Report
  • [Remarks] Kumamoto International Symposium

    • URL

      http://www.taniguchi.sci.waseda.ac.jp/KIS16.pdf

    • Related Report
      2015 Annual Research Report
  • [Funded Workshop] Waseda International Symposium “Recent Developments in Time series Analysis: Quantile Regression, High Dimensional Data & Causality”2018

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Kouchi International Seminar “Recent Developments of Quantile Method, Causality and High Dim Statistics2018

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Kagawa International Symposium“Recent Developments in Statistics and Econometrics”2018

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Ise-Shima International Seminar " High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series"2017

    • Place of Presentation
      Ise-Shima Royal Hotel
    • Year and Date
      2017-03-05
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] Keio International Symposium "Statistical Analysis for High-Dimensional, Circular or Time Series Data"2017

    • Place of Presentation
      Keio University
    • Year and Date
      2017-03-02
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series"2017

    • Place of Presentation
      Waseda University
    • Year and Date
      2017-02-27
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] Waseda International Symposium “Recent Developments for Statistical Asymptotic Theory for Time Series & Circular Distributions”2017

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Kyoto (Fushimi-Uji) International Seminar "Recent Developments for Statistical Science"2017

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Hokkaido International Symposium "Recent Developments of Statistical Theory in Statistical Science2016

    • Place of Presentation
      Hokkaido University
    • Year and Date
      2016-10-27
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] Waseda International Symposium " High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series"2016

    • Place of Presentation
      Waseda University
    • Year and Date
      2016-10-24
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] Kumamoto International Symposium "High Dimensional Statistical Analysis & Quantile Analysis for Time Series"2016

    • Place of Presentation
      熊本大学
    • Year and Date
      2016-03-03
    • Related Report
      2015 Annual Research Report
  • [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series"2016

    • Place of Presentation
      早稲田大学
    • Year and Date
      2016-02-29
    • Related Report
      2015 Annual Research Report
  • [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Spatio-Temporal Processes & Quantile Analysis for Time Series"2015

    • Place of Presentation
      早稲田大学
    • Year and Date
      2015-11-09
    • Related Report
      2015 Annual Research Report

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Published: 2015-04-16   Modified: 2022-08-26  

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